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Hello and Welcome,
Welcome to the new Trizen Systems newsletter. This will be the new format for discussing our algorithmic trading systems and other information. Bi-weekly updates will include Actual Profits/Losses, Commitment of Traders, Articles and Actual Trading screen shots. Pass this along to anyone that you feel would like to understand more about the financial markets, derivatives, and how to trade them successfully.
Year to Date (YTD) Performance vs. the S&P 500:
Return on Initial Capital: +29.44% We are currently above the S&P index by 21.85% |
| Market Action
Bi-Weekly Profit (P/L): -($1000) | |
A profit taking two-week period with some Euro-zone worries and some other Economic elements (China) caused a 5% drop from recent highs, a perfect time for an entry; however, we do not have a "fundamental" trading system which is defined by economic elements and earnings reports and as such our technical system will trade through this period on the Long side.
Overall the system is showing it can really handle all sorts of environments and though we are not fully leveraged, reaching 30% in 9 months (60% levered) has been a great achievement.
Look for Thanksgiving week to be consolidation, possibly a test of recent highs or lows depending on economic news from Europe and a small run into the final month of the year. We are Long at the moment in our technical systems.
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| Commitment of Traders
Bulls-n-Bears | The COT, or Commitment of Traders, represents a government report that collects all the open positions for all traders in the futures market. It breaks it out into Hedgers, Professionals, and Small Traders. Hedgers maintain large portfolio positions and will hedge their positions using the S&P (so they can protect against falling markets). Professionals speculate and tend to be on the right side of the market opposite the hedgers. In most cases the Small trader (Green) is a contrarian indicator.
Analysis: Lets review the prior COT analysis:
"The electronic contract continues to diverge from the Pit Trade contract. The pit traded contract is showing a very strong bullish pattern while the electronic contract is showing a very strong bearish pattern. The continuos divergence has made the markets very difficult to interpret, but the COT is more about a "change" in the way its moving than it is about an all out pattern. 1180 was difficult to get through, but once it was busted 1120 was easily hit; however, 1220 looks very formidable. Look for profit taking now that earnings season is over. It might also be time for some European debt issues and possibly oil considerations."
The pit traded contract continues to show a strong bullish pattern with a minor profit taking reduction by the professionals; however, this market looks as though it will continue higher since there is really no place to put your money other than in stocks at the moment. Eurozone issues popped up again, but this is becoming common place and as such market participants look at 1080 as a buying opportunity.
No real change in our interpretation of the market, though 1220 is still quite formidable. Look for consolidation this week heading into early December.
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| Levered vs Under-Levered Accounts
30% vs. 60% | |
 Over the last nine months we have not levered our positions, meaning that we are trading well below what we can trade with the current size of the accounts. For example, if you have a 10,000 account, you can trade 1 contract with some expected drawdown on the S&P ($5400 required to start a trade, with potentially a $2500 drawdown leaving roughly 2,100 to play with). There is no real leverage on this 10,000 account and as such if you made 10% then it was unlevered. If however, you had a 20,000 account you could trade two contracts and would still have only made 10% on the 20,000 account, but if you only traded 1 contract, you only made 5% and you are underleveraged by half. This is our current situation, we are not trading our full leverage and as such our performance is half of what it could have been for the year. This was a planned approach for the first couple months of trading, but since then it has just been the entire plan going forward.
It has given me a lot of confidence heading into 2011 that we can do this with any product, not just S&P futures. Take for instance what occurred these last two weeks in Treasuries (2's and 10's) as well as the EuroFX. Our systems would have offset any 5% drop in the S&P with large gains in each of these markets. We are clearly not diversified enough at the moment and need to expand our trading systems to these markets. |
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Sincerely,
Edward Zaremba
Trizen Systems, Inc.
Commodity Trading Advisor
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| | BladeTrader Version 3.6 | | Version 3.6 and 3.3 have been released. We will have four accounts for each side and version and seperate percentages. |
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U.S. Government Required Disclaimer - Commodity Futures Trading Commission Futures and Options trading has large potential rewards, but also large potential risk. You must be aware of the risks and be willing to accept them in order to invest in the futures and options markets. Don't trade with money you can't afford to lose. This is neither a solicitation nor an offer to Buy/Sell futures, stocks or options on the same. No representation is being made that any account will or is likely to achieve profits or losses similar to those discussed on this web site. The past performance of any trading system or methodology is not necessarily indicative of future results.
CFTC RULE 4.41 - HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN.
NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL, OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE DISCUSSED WITHIN THIS SITE, SUPPORT AND TEXTS. OUR COURSE(S), PRODUCTS AND SERVICES SHOULD BE USED AS LEARNING AIDS ONLY AND SHOULD NOT BE USED TO INVEST REAL MONEY. IF YOU DECIDE TO INVEST REAL MONEY, ALL TRADING DECISIONS SHOULD BE YOUR OWN. |
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